CVA Hedging with Reinforcement Learning.
Roberto DaluisoMarco PinciroliMichele TraplettiEdoardo VittoriPublished in: ICAIF (2023)
Keyphrases
- reinforcement learning
- function approximation
- reinforcement learning algorithms
- state space
- temporal difference
- optimal policy
- markov decision processes
- markov decision process
- multi agent
- control problems
- policy search
- model free
- financial markets
- robotic control
- direct policy search
- reward function
- action selection
- exchange rate
- optimal control
- learning algorithm
- database
- learning capabilities
- learning problems
- dynamic programming
- knowledge base
- learning agents
- temporal difference learning
- reinforcement learning methods
- machine learning
- data sets